Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0155 |
| Annualized Std Dev | 0.2622 |
| Annualized Sharpe (Rf=0%) | 0.0590 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3155.0000 |
| NAs | 1.0000 |
| Minimum | -0.1211 |
| Quartile 1 | -0.0061 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1313 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0165 |
| Skewness | -0.5875 |
| Kurtosis | 10.5808 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0122 |
| Gain Deviation | 0.0116 |
| Loss Deviation | 0.0138 |
| Downside Deviation (MAR=210%) | 0.0166 |
| Downside Deviation (Rf=0%) | 0.0121 |
| Downside Deviation (0%) | 0.0121 |
| Maximum Drawdown | 0.5152 |
| Historical VaR (95%) | -0.0233 |
| Historical ES (95%) | -0.0416 |
| Modified VaR (95%) | -0.0261 |
| Modified ES (95%) | -0.0546 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-04-06 | 2020-03-18 | 2021-02-19 | -0.5152 | 2483 | 2250 | 233 |
| 2008-09-24 | 2008-11-20 | 2010-11-04 | -0.5073 | 534 | 42 | 492 |
| 2008-09-04 | 2008-09-09 | 2008-09-23 | -0.1024 | 14 | 4 | 10 |
| 2011-03-04 | 2011-03-16 | 2011-03-30 | -0.0802 | 19 | 9 | 10 |
| 2010-11-12 | 2010-11-16 | 2010-12-10 | -0.0548 | 20 | 3 | 17 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | -1.6 | 3.7 | -10.2 | 3.6 | -5 |
| 2009 | 0.4 | -0.8 | 2.3 | 2.1 | 3.7 | 0.8 | 0.9 | -1.9 | -3.1 | -3.8 | 2.8 | -0.5 | 2.5 |
| 2010 | 3 | 1.1 | 1.2 | -1 | -2.9 | -0.3 | 0.3 | 3.4 | 1 | -0.1 | 2.5 | 0.3 | 8.7 |
| 2011 | 2.6 | -1.5 | 1 | 0.9 | -2.5 | 0.6 | -0.1 | -0.7 | -3.3 | -3.3 | -0.5 | 0.4 | -6.4 |
| 2012 | 1 | 0.9 | 1 | 1.1 | -1.9 | 3.1 | 0 | 1.3 | 1.4 | 1 | -0.3 | 1.9 | 11 |
| 2013 | 1 | -0.6 | -0.8 | -1.5 | -2.1 | 0.5 | 0.8 | -0.5 | 0.5 | -0.6 | -0.1 | 0.4 | -3.1 |
| 2014 | -1.1 | 0.2 | 0.4 | -0.5 | -0.4 | 0.4 | -0.7 | 0.3 | -1.5 | 0.9 | -0.5 | -0.1 | -2.7 |
| 2015 | 0.1 | 0.2 | 1.1 | 1.1 | -0.3 | -0.2 | -0.6 | -3.7 | 0 | -0.2 | 0.6 | -0.8 | -2.6 |
| 2016 | -1 | 1.8 | -0.8 | 0.7 | -0.1 | 0.9 | -1.2 | 0.2 | 0.6 | 0 | 0.7 | -0.5 | 1.4 |
| 2017 | 0.3 | 1.5 | 0.2 | -0.1 | 0.2 | 0.8 | 0 | 0.6 | 0.6 | 0.9 | 0.2 | 0.1 | 5.4 |
| 2018 | 0.3 | -0.9 | 1.7 | -0.3 | 0.5 | 1 | -1.1 | -1 | 0 | 1.9 | 0.1 | 0.9 | 3.2 |
| 2019 | 0 | 0.1 | 1.2 | -1.4 | -0.5 | 0.2 | -1.1 | 0.5 | -1.2 | 1.5 | -0.6 | 0.3 | -1 |
| 2020 | -2 | -2 | -3.6 | -3.8 | 1.8 | -0.4 | -1.3 | 0.6 | -0.7 | -0.7 | 1.6 | -0.2 | -10.5 |
| 2021 | 1.5 | 2.1 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-09-03 37.1 SPY 128. -0.0009 0.0038 0.0231 -0.0735 -0.142 0.0432 0.244 GLD 78.9 -0.0039 -0.0288
2 2008-09-04 35.6 SPY 124. -0.0301 -0.0358 -0.0337 -0.119 -0.161 0.0126 0.2 GLD 78.4 -0.0063 -0.0365
3 2008-09-05 36.2 SPY 124. 0.0031 -0.0443 -0.035 -0.0871 -0.160 0.0176 0.203 GLD 79.0 0.0075 -0.0389
4 2008-09-08 35.6 SPY 127. 0.0207 -0.014 -0.0002 -0.0705 -0.131 0.0266 0.235 GLD 78.9 -0.0015 -0.0349
5 2008-09-09 33.3 SPY 123. -0.0297 -0.0373 -0.0475 -0.0936 -0.155 -0.0056 0.188 GLD 76.5 -0.0301 -0.0342
6 2008-09-10 34.0 SPY 124. 0.0041 -0.0325 -0.0535 -0.0763 -0.161 0.0018 0.201 GLD 74.2 -0.0297 -0.0592
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
